Can Individual Investors Beat the Market?

We document strong persistence in the performance of trades of individual investors. Investors classified in the top 10 percent place other trades that on average earn excess returns of 15 basis points per day. A rolling-forward strategy of going long firms purchased by previously successful investors and shorting firms purchased by previously unsuccessful investors results in excess returns of 5 basis points per day. These returns are not confined to small stocks nor to stocks in which the investors are likely to have inside information. Our results suggest that skillful individual investors exploit market inefficiencies to earn abnormal profits, above and beyond any profits available from well-known strategies based upon size, value, or momentum.Individual Investors, Market Efficiency, Performance Persistence

Biexciton recombination rates in self-assembled quantum dots

The radiative recombination rates of interacting electron-hole pairs in a quantum dot are strongly affected by quantum correlations among electrons and holes in the dot. Recent measurements of the biexciton recombination rate in single self-assembled quantum dots have found values spanning from two times the single exciton recombination rate to values well below the exciton decay rate. In this paper, a Feynman path-integral formulation is developed to calculate recombination rates including thermal and many-body effects. Using real-space Monte Carlo integration, the path-integral expressions for realistic three-dimensional models of InGaAs/GaAs, CdSe/ZnSe, and InP/InGaP dots are evaluated, including anisotropic effective masses. Depending on size, radiative rates of typical dots lie in the regime between strong and intermediate confinement. The results compare favorably to recent experiments and calculations on related dot systems. Configuration interaction calculations using uncorrelated basis sets are found to be severely limited in calculating decay rates.Comment: 11 pages, 4 figure

Information and Opportunistic Behavior in Federal Crop Insurance Programs

Opportunistic behavior in crop insurance can arise due to asymmetric information between producers and the Federal Crop Insurance Corporation. Producers who insure fields using transitional yields based on county average yields or who select options such as buy-up coverage or revenue insurance may increase their return from crop insurance. Using field-level crop insurance contract data for several crops in five growing regions, we find evidence that producers can profit from using buy-up coverage, revenue insurance, and transitional yields and that the level of producer opportunism is crop but not necessarily land-quality specific and is greater due to premium subsidization.opportunistic behavior, crop insurance, buy-up, revenue, transitional yields

The Effects of Transitional Yields on Adverse Selection in Crop Insurance

Transitional yields based on county average can be used by producers as the basis to obtain crop insurance on fields that have not previously produced the crop. Using field-level crop insurance contract data for several crops in five different growing regions we examine the impact of this asymmetric information on adverse selection. Our results indicate that adverse selection does exist from the use of transitional yields and that it is crop specific but not land-quality specific.adverse selection, crop insurance, transitional yields, Risk and Uncertainty, Q18,

Propellant feed systems transients

Program was written to assist in analysis of fluid feed line transients initiated by operation of valves. Program output consists of printout of transient pressures and velocities through feed system as function of time. Optional CRT plot output provides for display of transient pressures and velocities as function of time at any desired location in feed system

Good Day Sunshine: Stock Returns and the Weather

Psychological evidence and casual intuition predict that sunny weather is associated with upbeat mood. This paper examines the relation between morning sunshine at a country's leading stock exchange and market index stock returns that day at 26 stock exchanges internationally from 1982- 97. Sunshine is strongly positively correlated with daily stock returns. After controlling for sunshine, other weather conditions such as rain and snow are unrelated to returns. If transactions costs are assumed to be minor, it is possible to trade profitably on the weather. These results are difficult to reconcile with fully rational price-setting.market efficiency, mood and securities prices, psychology and finance

Tuning biexciton binding and anti-binding in core/shell quantum dots

We use a path integral quantum Monte Carlo method to simulate excitons and biexcitons in core shell nanocrystals with Type-I, II and quasi-Type II band alignments. Quantum Monte Carlo techniques allow for all quantum correlations to be included when determining the thermal ground state, thus producing accurate predictions of biexciton binding. These subtle quantum correlations are found to cause the biexciton to be binding with Type-I carrier localization and strongly anti-binding with Type-II carrier localization, in agreement with experiment for both core shell nanocrystals and dot in rod nanocrystal structures. Simple treatments based on perturbative approaches are shown to miss this important transition in the biexciton binding. Understanding these correlations offers prospects to engineer strong biexciton anti-binding which is crucial to the design of nanocrystals for single exciton lasing applications.Comment: 10 pages, 11 figure

Linear spatial interpolation: Analysis with an application to San Joaquin Valley

The properties of linear spatial interpolators of single realizations and trend components of regionalized variables are examined in this work. In the case of the single realization estimator explicit and exact expressions for the weighting vector and the variances of estimator and estimation error were obtained from a closed-form expression for the inverse of the Lagrangian matrix. The properties of the trend estimator followed directly from the Gauss-Markoff theorem. It was shown that the single realization estimator can be decomposed into two mutually orthogonal random functions of the data, one of which is the trend estimator. The implementation of liear spatial estimation was illustrated with three different methods, i.e., full information maximum likelihood (FIML), restricted maximum likelihood (RML), and Rao's minimum norm invariant quadratic unbiased estimation (MINQUE) for the single realization case and via generalized least squares (GLS) for the trend. The case study involved large correlation length-scale in the covariance of specific yield producing a nested covariance structure that was nearly positive semidefinite. The sensitivity of model parameters, i.e., drift and variance components (local and structured) to the correlation length-scale, choice of covariance model (i.e., exponential and spherical), and estimation method was examined. the same type of sensitivity analysis was conducted for the spatial interpolators. It is interesting that for this case study, characterized by a large correlation length-scale of about 50 mi (80 km), both parameter estimates and linear spatial interpolators were rather insensitive to the choice of covariance model and estimation method within the range of credible values obtained for the correlation length-scale, i.e., 40-60 mi (64-96 km), with alternative estimates falling within ±5% of each other. © 1988 Springer-Verlag

Autocorrelations in the totally asymmetric simple exclusion process and Nagel-Schreckenberg model

We study via Monte Carlo simulation the dynamics of the Nagel-Schreckenberg model on a finite system of length L with open boundary conditions and parallel updates. We find numerically that in both the high and low density regimes the autocorrelation function of the system density behaves like 1-|t|/tau with a finite support [-tau,tau]. This is in contrast to the usual exponential decay typical of equilibrium systems. Furthermore, our results suggest that in fact tau=L/c, and in the special case of maximum velocity 1 (corresponding to the totally asymmetric simple exclusion process) we can identify the exact dependence of c on the input, output and hopping rates. We also emphasize that the parameter tau corresponds to the integrated autocorrelation time, which plays a fundamental role in quantifying the statistical errors in Monte Carlo simulations of these models.Comment: 7 pages, 6 figure